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Estimate specification models for the state-dependent level of an optimal quantile/expectile forecast. Wald Tests and the test of overidentifying restrictions are implemented. Plotting of the estimated specification model is possible. The package contains two data sets with forecasts and realizations: the daily accumulated precipitation at London, UK from the high-resolution model of the European Centre for Medium-Range Weather Forecasts (ECMWF, <https://www.ecmwf.int/>) and GDP growth Greenbook data by the US Federal Reserve. See Schmidt, Katzfuss and Gneiting (2015) <doi:10.48550/arXiv.1506.01917> for more details on the identification and estimation of a directive behind a point forecast.
| Version: | 0.2.0 |
| Depends: | R (≥ 3.2.0) |
| Imports: | gmm, boot, car, ggplot2, MASS, stats, lubridate, sandwich |
| Suggests: | knitr, rmarkdown, testthat, spelling |
| Published: | 2019-02-22 |
| DOI: | 10.32614/CRAN.package.PointFore |
| Author: | Patrick Schmidt [aut, cre] |
| Maintainer: | Patrick Schmidt <pschmidte at gmail.com> |
| License: | CC0 |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | README |
| CRAN checks: | PointFore results |
| Reference manual: | PointFore.pdf |
| Vignettes: |
GDP Greenbook Precipitation Tutorial for PointFore |
| Package source: | PointFore_0.2.0.tar.gz |
| Windows binaries: | r-devel: PointFore_0.2.0.zip, r-release: PointFore_0.2.0.zip, r-oldrel: PointFore_0.2.0.zip |
| macOS binaries: | r-release (arm64): PointFore_0.2.0.tgz, r-oldrel (arm64): PointFore_0.2.0.tgz, r-release (x86_64): PointFore_0.2.0.tgz, r-oldrel (x86_64): PointFore_0.2.0.tgz |
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